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| Author: | Han, L. Thury, G. |
| Title: | Testing for seasonal integration and cointegration: The Austrian consumption income relationship |
| Journal: | Empirical Economics
1997 : VOL. 22:3, p. 331-344 |
| Index terms: | SEASONAL FLUCTUATION UNIT ROOTS COINTEGRATION AUSTRIA |
| Language: | eng |
| Abstract: | This is a case study on testing for seasonal integration and cointegration using Austrian quarterly consumption and income data. Seasonally adjusted series are analyzed first. According to standard Dickey-Fuller tests, the series have unit roots at the long-run frequency and appear to cointegrate, in line with theoretical expectations. Then the study analyzes raw data and finds unit roots at the seasonal frequencies and exactly one unit root at the zero frequency. This is in line with the result for seasonally adjusted data. The seasonal roots were eliminated by seasonal ajustment, but the unit root at the zero frequency is robust to seasonal adjustment. Finally the tests are performed for seasonal cointegration, and here the results for raw and seasonally adjusted data differ. Non-cointegration between consumption and income was found. |
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